/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.method;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureTransaction;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.util.money.CurrencyAmount;
/**
* Methods for the pricing of Federal Funds futures generic to all models.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public abstract class FederalFundsFutureTransactionMethod implements PricingMethod {
/**
* The security method.
*/
private FederalFundsFutureSecurityMethod _methodSecurity;
/**
* Gets the security method.
* @return The method.
*/
public FederalFundsFutureSecurityMethod getMethodSecurity() {
return _methodSecurity;
}
/**
* Sets the security method.
* @param methodSecurity The method.
*/
public void setMethodSecurity(final FederalFundsFutureSecurityMethod methodSecurity) {
this._methodSecurity = methodSecurity;
}
/**
* Compute the present value of a future transaction from a quoted price.
* @param future The future.
* @param price The quoted price.
* @return The present value.
*/
public CurrencyAmount presentValueFromPrice(final FederalFundsFutureTransaction future, final double price) {
final double pv = (price - future.getReferencePrice()) * future.getUnderlyingFuture().getPaymentAccrualFactor() * future.getUnderlyingFuture().getNotional() * future.getQuantity();
return CurrencyAmount.of(future.getUnderlyingFuture().getCurrency(), pv);
}
/**
* Compute the present value of a future transaction from the curves.
* @param future The future.
* @param curves The yield curves.
* @return The present value.
*/
public CurrencyAmount presentValue(final FederalFundsFutureTransaction future, final YieldCurveBundle curves) {
final double price = getMethodSecurity().price(future.getUnderlyingFuture(), curves);
return presentValueFromPrice(future, price);
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
Validate.isTrue(instrument instanceof FederalFundsFutureTransaction, "Federal Funds future");
return presentValue((FederalFundsFutureTransaction) instrument, curves);
}
/**
* Compute the present value sensitivity to rates of a interest rate future by discounting.
* @param future The future.
* @param curves The yield curves.
* @return The present value rate sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final FederalFundsFutureTransaction future, final YieldCurveBundle curves) {
Validate.notNull(future, "Future");
final InterestRateCurveSensitivity priceSensi = _methodSecurity.priceCurveSensitivity(future.getUnderlyingFuture(), curves);
final InterestRateCurveSensitivity result = priceSensi.multipliedBy(future.getUnderlyingFuture().getPaymentAccrualFactor() * future.getUnderlyingFuture().getNotional() * future.getQuantity());
return result;
}
}